Temporomandibular disorders (TMD) are primarily characterized by pain as well as issues concerning the proper functioning of individual elements of the stomatognathic system. The aim of the study was to assess the safety and efficacy of physical exercise, with or without radial Extracorporeal Shock Wave Therapy (rESWT), in patients with TMD. Eligible patients were adults (≥18 years) with diagnosed myofascial pain with or without mouth opening limitation (Group Ia, Ib) based on the Diagnostic Criteria for TMD (DC/TMD). Enrolled patients (n = 15) were randomly assigned 1:1 to receive physical exercise combined with rESWT (n = 8) or sham rESWT (n = 7) for four weeks. The primary endpoint was the pain intensity measured by a visual analogue scale (VAS). The secondary endpoints were muscle activity and function assessed through the surface electromyography evaluation of the anterior temporalis and the masseter muscles. The rESWT group (mean age: 28.50 ± 8.85 years) showed a statistically significant pain reduction (VAS Right side: ΔT0-T1 MD = −3.00; p = 0.023, Left side: ΔT0-T1, MD = 3.57, p = 0.021), whereas patients in the sham WBV group (mean age: 30.71 ± 8.98 years), did not reach statistical significance (VAS: Right side: ΔT0-T1 MD = 1.00, p = 0.155; Left side: ΔT0-T1 MD = 1.25 SE = 0.25, p = 0.094). Concurrently, muscle activity and performance significantly improved in the active rESWT group, with an improvement in the percentage of the overlapping coefficient (POC) compared to the control group. No dropouts and no side effects were recorded. Taken together, the findings of this pilot RCT suggested that rESWT combined with physical therapy could be effective in relieving pain and improving function in muscle-related TMD patients.